Sample Average Approximation for Portfolio Optimization under CVaR constraint in an (re)insurance context
“We consider optimal allocation problems with Conditional Value-At-Risk (CVaR) constraint. We prove, under very mild assumptions, the...
top of page
Rechercher
7 août
Risk sharing with Lambda value at risk under heterogeneous beliefs
This study provides semi-explicit formulas for inf-convolution and optimal allocations, considering homogeneous, conditional, and...
bottom of page